Robust optimization approaches for portfolio selection: a comparative analysis.
Antonios GeorgantasMichalis DoumposConstantin ZopounidisPublished in: Ann. Oper. Res. (2024)
Keyphrases
- portfolio selection
- optimization approaches
- robust optimization
- mathematical programming
- optimization methods
- multistage stochastic
- neural network
- multiple objectives
- portfolio optimization
- optimal portfolio
- stage stochastic programs
- genetic algorithm
- historical data
- financial markets
- transaction costs
- portfolio management